Synchronization model for stock market asymmetry
نویسندگان
چکیده
منابع مشابه
Synchronization model for stock market asymmetry
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up–down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occasionally synchronize their short term draw-downs. These synchronous events are...
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ژورنال
عنوان ژورنال: Journal of Statistical Mechanics: Theory and Experiment
سال: 2006
ISSN: 1742-5468
DOI: 10.1088/1742-5468/2006/11/l11001